IGN and GameSpot have posted their hands-on impressions of Oblivion. Both previews contain mandatory references to Patric Stewart!!! and shiny graphics, but here is something that GameSpot noted:

GameSpot preview:
We got the impression that Oblivion's storyline and gameplay are a little more focused and constrained than in past Elder Scrolls games, although we did only play it for the first few minutes. Yet the linear dungeon path we followed during our time with the game was in stark contrast to the opening of Morrowind, which thrusts you right into a world so open and vast that you hardly know where to begin.

It looks like Bethesda does listen to the fans.

IGN preview:
Since Uriel and his guards had gone up ahead and forbidden us to follow, we plunged through the hole the rats had made in the wall into a dark and dirty catacomb area. Shortly after we got inside we picked up a shield and a bow and arrow. When equipped, we were able to block with the shield using the LT button. The bow and arrow was impressive, especially when zoomed out to the third person perspective which showcased the smooth arrow draw and subsequent fire. The tutorial text instructed us to fire the arrows into a bucket hanging into a well. We did as we were told and were treated to a demonstration of Oblivion's accurate physics as the bucket bounced around from the arrow's force.

I really wish that there were better examples of gameplay features than "set the dog on fire" and "shoot at the bucket and watch it bounce". Unless one's role-playing a retard, of course.